Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0271 |
| Annualized Std Dev | 0.1950 |
| Annualized Sharpe (Rf=0%) | -0.1390 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5382.0000 |
| NAs | 1.0000 |
| Minimum | -0.2027 |
| Quartile 1 | -0.0046 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0049 |
| Maximum | 0.2136 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0002 |
| Stdev | 0.0123 |
| Skewness | -0.7818 |
| Kurtosis | 47.2343 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0091 |
| Gain Deviation | 0.0094 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0137 |
| Downside Deviation (Rf=0%) | 0.0091 |
| Downside Deviation (0%) | 0.0091 |
| Maximum Drawdown | 0.7446 |
| Historical VaR (95%) | -0.0148 |
| Historical ES (95%) | -0.0289 |
| Modified VaR (95%) | -0.0111 |
| Modified ES (95%) | -0.0111 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-13 | 2008-12-15 | NA | -0.7446 | 5098 | 2012 | NA |
| 1999-12-01 | 2000-04-14 | 2000-11-20 | -0.1553 | 247 | 95 | 152 |
| 2000-11-30 | 2000-11-30 | 2000-12-01 | -0.0124 | 2 | 1 | 1 |
| 1999-11-01 | 1999-11-01 | 1999-11-02 | -0.0062 | 2 | 1 | 1 |
| 1999-11-15 | 1999-11-15 | 1999-11-16 | -0.0062 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | -1.2 | 6.3 | 4.3 |
| 2000 | -2.6 | 1.4 | 0 | 0 | 1.3 | 0 | 1.3 | 0.6 | 0 | 0 | 1.3 | -0.6 | 2.6 |
| 2001 | -0.3 | -0.3 | 0.2 | 1.8 | 0.5 | -1.7 | 0.3 | 0 | 0.5 | 0.6 | 0.9 | 0.4 | 2.8 |
| 2002 | -0.4 | 1.1 | 0.7 | 0.3 | 1.1 | 0.9 | 0.4 | 0.3 | 0.6 | 0.2 | 0.8 | 2.4 | 8.7 |
| 2003 | 1.1 | 0 | -0.5 | 0.4 | 1.1 | 0.6 | 1.4 | -0.1 | 0.3 | 0.2 | 1.1 | -0.3 | 5.4 |
| 2004 | -0.5 | 0 | -1.1 | 0.8 | 0.1 | 1 | 0.7 | 0.1 | -0.4 | 0 | -2.1 | 0.3 | -1.1 |
| 2005 | 0.2 | 0.8 | 0.1 | 1.7 | 0.8 | 1.4 | -0.2 | -0.1 | 0.6 | 0.1 | 0.3 | -0.1 | 5.6 |
| 2006 | 0.4 | -0.3 | -0.2 | -0.7 | -0.4 | 0.1 | -0.1 | -0.2 | 0.2 | 0.1 | -0.2 | 0.7 | -0.7 |
| 2007 | 0 | -0.5 | 0.1 | 0.3 | 0.1 | -0.3 | -1.1 | 0.5 | -0.2 | -0.3 | 0.1 | 1.3 | 0.1 |
| 2008 | 1.7 | -1 | 1 | 0.7 | 0.1 | -0.6 | 0.5 | -0.5 | 3.6 | 2.7 | -3.9 | 4.5 | 8.8 |
| 2009 | 1.1 | 3.8 | 2.2 | 3 | -0.7 | 1.7 | -1 | -0.6 | -1.2 | -1.2 | 1.4 | 0.7 | 9.6 |
| 2010 | -0.4 | 1.6 | 1 | -0.4 | 0.7 | 0.1 | 1 | -0.1 | 1.8 | 1.4 | 1.7 | 0.8 | 9.6 |
| 2011 | 0.4 | 0.8 | 0.1 | -1.3 | 0.7 | 0.1 | 2 | 2.5 | 1.7 | 0 | 0 | -0.5 | 6.6 |
| 2012 | -1.1 | 3.5 | 0.4 | 1.1 | -0.4 | -0.7 | -0.1 | 0.3 | 1.2 | 1.6 | -0.5 | 0.3 | 5.5 |
| 2013 | 0 | 1.7 | 0.4 | 0.1 | -0.6 | -1.3 | -0.5 | 0.1 | -0.6 | -0.8 | 0.7 | 0.1 | -0.7 |
| 2014 | 0.3 | 0.6 | 0.3 | -0.1 | 0.4 | -1.3 | 0 | -0.1 | -0.1 | 0.7 | -1.5 | 1.6 | 0.6 |
| 2015 | -0.2 | 0.2 | 0.5 | 0.1 | -0.4 | 1.2 | 0.5 | -1 | -1.2 | -0.5 | 0 | 0.5 | -0.3 |
| 2016 | 0.5 | 1.9 | -0.7 | 0.7 | 0.5 | 0 | -1.1 | -0.2 | 0.9 | -1.2 | 1.1 | 0.3 | 2.7 |
| 2017 | 1 | -0.1 | -1.2 | -0.3 | 0.3 | 1.2 | -0.9 | 0.2 | 0.5 | -0.4 | 0.9 | -0.3 | 0.8 |
| 2018 | 0 | 0 | 0.3 | 0.6 | 0 | -0.5 | 0.2 | 0 | 0 | -0.2 | -0.2 | 0.5 | 0.8 |
| 2019 | -0.2 | -0.5 | 1.2 | 0.7 | -2 | -0.5 | -0.2 | 0.4 | -0.2 | -0.2 | 0 | 0.3 | -1.2 |
| 2020 | -1.2 | -3.3 | -5 | -1.6 | 1.5 | 0.4 | -0.4 | 1 | 0.8 | -1.5 | 1.8 | -0.6 | -7.8 |
| 2021 | 1.5 | 0 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-10-27 10 SPY 130. 0.0181 0.0146 0.0139 -0.0319 NA NA NA <NA> NA NA NA
2 1999-10-28 10 SPY 135. 0.0341 0.0431 0.0611 0.0137 NA NA NA <NA> NA NA NA
3 1999-10-29 10.1 SPY 137 0.0181 0.0531 0.0641 0.0296 NA NA NA <NA> NA NA NA
4 1999-11-01 10 SPY 136. -0.0105 0.0473 0.0552 0.0236 NA NA NA <NA> NA NA NA
5 1999-11-02 10.1 SPY 135. -0.0071 0.0531 0.0294 0.0304 NA NA NA <NA> NA NA NA
6 1999-11-03 10.1 SPY 136. 0.0067 0.0413 0.0373 0.028 NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
